The multi server query is actually executed as separate batches on each server, so any statements being run are still batch scoped which means they will complete inside their respective connection. So if you issue a create the table statement, it is run on each server in the database that is selected in the dropdown. The same goes for Inserts. The aggregation of the data and display with server name happens client side by SSMS. This is why you can control the ServerName being ON/OFF with a change to the Options under Tools.

Your question actually points out an extremely valuable use for this that I never actually considered previously. I have seen a number of questions where someone wants to update a database across multiple servers, like a development farm with the same piece of code. I worked in one company that had 24 different development instances to manage consistently. Changing one core procedure would require changing the connection 24 times to deploy it to everywhere. This is easily accomplished with Multi-server queries, and I'll have to call a buddy of mine who actually has a nightmarish development environment like I describe above and tell him about this.